I have no experience with Mac OS either. But what folder path did you try do put it in then? Maybe you tried another place that happens to be restricted by Microsoft.
Usually I just replace the \Program Files\Ubisoft\ part with \Games\ in the path specification text box. As I don't mind it is in the C-drive. Or potentially you need to create the folder manually on the drive, instead of letting the installation software do it.
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